MARGIN OFFSETS ACROSS PORTFOLIOS

摘要

A method for managing a risk associated with a plurality portfolios wherein each of the plurality of portfolios includes a plurality of positions representative of products traded on an exchange is disclosed. The method includes determining a risk assessment for each of a plurality of portfolios, calculating a margin offset associated with each of the plurality of portfolios, adjusting the risk assessments associated with each of the plurality of portfolios as a function of the margin offset, determining a portfolio risk assessment for the plurality of portfolios, and calculating a margin requirements for the plurality of portfolios, wherein the margin requirement calculated as a function of the portfolio risk assessment.